منابع مشابه
Competition in Treasury Auctions
We investigate the role of competition on the outcome of Austrian Treasury auctions. EU accession by Austria provides a ``natural experiment'' causing an exogenous increase in the number of bidders in Treasury Auctions. We use structural estimates of bidders' private values to examine the effect of increased competition on auction revenue and compare bidder surplus before and after the auction....
متن کاملCompetition in Austrian Treasury Auctions
We investigate the role of competition on the outcome of Austrian Treasury auctions. EU accession by Austria provides a “natural experiment” causing an exogenous increase in the number of bidders in Treasury Auctions. Difference-in-difference estimates suggest that the increased number in bidders caused a significant drop in the yields Austria had to pay for newly issued debt. We use structural...
متن کاملThe U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds
We study an important recent series of buyback auctions conducted by the U.S. Treasury in retiring $67.5 billion of its illiquid off-the-run debt. The Treasury was successful in buying back large amounts of illiquid debt while suffering only a small market-impact cost. The Treasury included the most-illiquid bonds more frequently in the auctions, but tended to buy back the least-illiquid of the...
متن کاملQuantum field theory of treasury bonds.
The Heath-Jarrow-Morton (HJM) formulation of treasury bonds in terms of forward rates is recast as a problem in path integration. The HJM model is generalized to the case where all the forward rates are allowed to fluctuate independently. The resulting theory is shown to be a two-dimensional Gaussian quantum field theory. The no arbitrage condition is obtained and a functional integral derivati...
متن کاملBenefits and Limitations of Inflation Indexed Treasury Bonds
In recent years, members of Congress and academia have repeatedly urged the U.S. Treasury to issue some portion of its debt in the form of inflation indexed bonds. With an indexed bond, the interest and maturity value are adjusted by the rate of inflation over the life of the bond. Because the cash flow of an indexed bond is adjusted for inflation, the bond’s real value does not vary with infla...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2016
ISSN: 1556-5068
DOI: 10.2139/ssrn.2756674